By Marisa Wong
Los Angeles, Feb. 11 – Barclays Bank plc priced $679,846,975 more iPath Series B S&P 500 VIX Short-Term Futures exchange-traded notes due Jan. 23, 2048 linked to the S&P 500 VIX Short-Term Futures Index Total Return, according to a 424B2 filing with the Securities and Exchange Commission.
Barclays will issue 25 million additional ETNs with a principal amount of $27.193879 each on Feb. 10.
Barclays issued the original 36,772,982 ETNs at par on Jan. 19, 2018, 23,227,018 more ETNs July 23, 2019 and another 15 million ETNs on Nov. 20.
The remainder of the ETNs will be sold from time to time at variable prices.
The underlying index is calculated based on the strategy of owning a continuously rolling portfolio of one-month and two-month VIX futures to target a constant weighted average futures maturity of one month. The VIX index reflects implied volatility of the S&P 500 index at various points along the volatility forward curve and is calculated based on the prices of put and call options on the S&P 500.
The underlying index is intended to reflect the returns that are potentially available through an unleveraged investment in the VIX futures contracts plus the rate of interest that could be earned on reinvestment into the underlying index of the return on the notional value of the underlying index based on the three-month U.S. Treasury rate.
The payout at maturity will be an amount in cash equal to the closing indicative value on the final valuation date.
The closing indicative value was $27.193879 on the initial valuation date. On each subsequent calendar day, it will equal (a) the daily index factor on that calendar day (or, if that day is not an index business day, one) times (b) the closing indicative value on the immediately preceding calendar day minus (c) the investor fee on that calendar day.
The daily index factor is the closing level of the index on that business day divided by the closing level of the index on the immediately preceding business day.
The investor fee on the initial valuation date was zero. On each subsequent calendar day, it will be equal to (a) 0.89% times (b) the closing indicative value on the immediately preceding calendar day times (c) the daily index factor on that day (or, if such day is not an index business day, one) divided by (d) 365.
The notes will be putable at any time, subject to a minimum of 25,000 securities and a one-time redemption charge, and they will be callable in whole at any time. The payout in either case would be equal to the closing indicative value on the applicable valuation date.
The notes are listed on the NYSE Arca under the symbol “VXX.”
Barclays is the agent.
| Issuer: | Barclays Bank plc
|
| Issue: | iPath Series B S&P 500 VIX Short-Term Futures ETNs
|
| Underlying index: | S&P 500 VIX Short-Term Futures Index Total Return
|
| Amount: | $2,719,387,900
|
| Maturity: | Jan. 23, 2048
|
| Coupon: | 0%
|
| Face amount: | $27.193879
|
| Price: | Par of $27.193879 for initial notes; variable prices for remainder
|
| Payout at maturity: | Closing indicative value on the final valuation date
|
| Closing indicative value: | $27.193879 on the initial valuation date; on each subsequent calendar day, (a) the daily index factor on that calendar day (or, if that day is not an index business day, one) times (b) the closing indicative value on the immediately preceding calendar day minus (c) the investor fee on that calendar day
|
| Daily index factor: | Closing level of the index on a business day divided by the closing level of the index on the immediately preceding business day
|
| Investor fee: | Zero on initial valuation date; on each subsequent calendar day, (a) 0.89% times (b) the closing indicative value on the immediately preceding calendar day times (c) the daily index factor on that day (or, if such day is not an index business day, one) divided by (d) 365
|
| Put option: | At any time, subject to a minimum of 25,000 notes and a 0.05% one-time redemption charge; payout determined in same way as at maturity
|
| Call option: | In whole at any time; payout equal to closing indicative value on valuation date
|
| Inception date: | Jan. 17, 2018
|
| Settlement date: | Jan. 19, 2018 for 36,772,982 ETNs, July 23, 2019 for 23,227,018 ETNs, Nov. 20 for 15 million ETNs and Feb. 10 for 25 million ETNs
|
| Agent: | Barclays
|
| Fees: | None
|
| Listing: | NYSE Arca: VXX
|
| Cusip: | 06746P621
|
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